pydata/pandas — pull request #4998 by mortada (2013-09-26 19:47:13+00:00)
Title: added halflife to exponentially weighted moving functions

Currently for the exponentially weighted moving functions (ewma, ewmstd, ewmvol, ewmvar, ewmcov) there are two ways (span, center of mass) to specify how fast the exponential decay is. It would be nice to support a "half life" option as well.

The half life is basically just the number of periods in which the exponential weight drops to one half, i.e.,

(1 - \alpha)^h = 0.5, h: half life